A STOCHASTIC PROGRAMMING MODEL FOR PORTFOLIO SELECTION
β Scribed by Chang, Kuo-Hwa; Chen, Hsiang-Ju; Liu, Chang-Yuh
- Book ID
- 120834014
- Publisher
- Chinese Electronic Periodical Services
- Year
- 2002
- Tongue
- Chinese
- Weight
- 108 KB
- Volume
- 19
- Category
- Article
- ISSN
- 1017-0669
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π SIMILAR VOLUMES
This paper is dedicated to the problem of dynamic portfolio optimization for the case when the number of decision periods is large and new information about market arrives during each such period. We propose the family of adaptive portfolio selection policies which rebalance the current portfolio du
In mean-variance (M-V) analysis, an investor with a holding period [0,T] operates in a two-dimensional space-one is the mean and the other is the variance. At time 0, he/she evaluates alternative portfolios based on their means and variances, and holds a combination of the market portfolio (e.g., an